AtmSmileSection Class Reference

#include <atmsmilesection.hpp>

Inheritance diagram for AtmSmileSection:

Collaboration diagram for AtmSmileSection:

Public Member Functions
	AtmSmileSection (const ext::shared_ptr< SmileSection > &source, Real atm=Null< Real >())
Real	minStrike () const override
Real	maxStrike () const override
Real	atmLevel () const override
const Date &	exerciseDate () const override
Time	exerciseTime () const override
const DayCounter &	dayCounter () const override
const Date &	referenceDate () const override
VolatilityType	volatilityType () const override
Rate	shift () const override
Public Member Functions inherited from SmileSection
	SmileSection (const Date &d, DayCounter dc=DayCounter(), const Date &referenceDate=Date(), VolatilityType type=ShiftedLognormal, Rate shift=0.0)
	SmileSection (Time exerciseTime, DayCounter dc=DayCounter(), VolatilityType type=ShiftedLognormal, Rate shift=0.0)
	SmileSection ()=default
	~SmileSection () override=default
void	update () override
virtual Real	minStrike () const =0
virtual Real	maxStrike () const =0
Real	variance (Rate strike) const
Volatility	volatility (Rate strike) const
virtual Real	atmLevel () const =0
virtual const Date &	exerciseDate () const
virtual VolatilityType	volatilityType () const
virtual Rate	shift () const
virtual const Date &	referenceDate () const
virtual Time	exerciseTime () const
virtual const DayCounter &	dayCounter () const
virtual Real	optionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0) const
virtual Real	digitalOptionPrice (Rate strike, Option::Type type=Option::Call, Real discount=1.0, Real gap=1.0e-5) const
virtual Real	vega (Rate strike, Real discount=1.0) const
virtual Real	density (Rate strike, Real discount=1.0, Real gap=1.0E-4) const
Volatility	volatility (Rate strike, VolatilityType type, Real shift=0.0) const
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()

Protected Member Functions
Volatility	volatilityImpl (Rate strike) const override
Real	varianceImpl (Rate strike) const override
Protected Member Functions inherited from SmileSection
virtual void	initializeExerciseTime () const
virtual Real	varianceImpl (Rate strike) const
virtual Volatility	volatilityImpl (Rate strike) const =0

Private Attributes
ext::shared_ptr< SmileSection >	source_
Real	f_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

Definition at line 32 of file atmsmilesection.hpp.

Constructor & Destructor Documentation

AtmSmileSection()

AtmSmileSection	(	const ext::shared_ptr< SmileSection > &	source,
		Real	atm = Null<Real>()
	)

Definition at line 24 of file atmsmilesection.cpp.

Member Function Documentation

minStrike()

Real minStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 37 of file atmsmilesection.hpp.

maxStrike()

Real maxStrike ( ) const

overridevirtual

Implements SmileSection.

Definition at line 38 of file atmsmilesection.hpp.

atmLevel()

Real atmLevel ( ) const

overridevirtual

Implements SmileSection.

Definition at line 39 of file atmsmilesection.hpp.

exerciseDate()

const Date & exerciseDate ( ) const

overridevirtual

Reimplemented from SmileSection.

Definition at line 40 of file atmsmilesection.hpp.

exerciseTime()

Time exerciseTime ( ) const

overridevirtual

Reimplemented from SmileSection.

Definition at line 41 of file atmsmilesection.hpp.

dayCounter()

const DayCounter & dayCounter ( ) const

overridevirtual

Reimplemented from SmileSection.

Definition at line 42 of file atmsmilesection.hpp.

referenceDate()

const Date & referenceDate ( ) const

overridevirtual

Reimplemented from SmileSection.

Definition at line 43 of file atmsmilesection.hpp.

volatilityType()

VolatilityType volatilityType ( ) const

overridevirtual

Reimplemented from SmileSection.

Definition at line 44 of file atmsmilesection.hpp.

shift()

Rate shift ( ) const

overridevirtual

Reimplemented from SmileSection.

Definition at line 45 of file atmsmilesection.hpp.

volatilityImpl()

Volatility volatilityImpl ( Rate  strike ) const

overrideprotectedvirtual

Implements SmileSection.

Definition at line 48 of file atmsmilesection.hpp.

varianceImpl()

Real varianceImpl ( Rate  strike ) const

overrideprotectedvirtual

Reimplemented from SmileSection.

Definition at line 51 of file atmsmilesection.hpp.

Member Data Documentation

source_

ext::shared_ptr<SmileSection> source_

private

Definition at line 54 of file atmsmilesection.hpp.

f_

Real f_

private

Definition at line 55 of file atmsmilesection.hpp.